I don't know if I'd start with a Rocks Off (or Aneros, for that matter). The Rocks Off toys do vibrate, but the curve and stiff silicone make them a bit more difficult to insert, and I've heard of people having problems if these are their first introduction to prostate stimulation.

Fingers are a great start, if you or your partner can get them to the right position. They can move, are sensitive, and readily available. If not, a curved "G-spot" type probe or vibrator is nice because you can manipulate it around easily to find the right spot.

Like ScottA said, fingers are a great place to start. You have them already and they can do wonderful things (A "Come here" motion is just awesome). You can use a latex type glove to protect the delicate anus/rectum membranes and it makes clean up a bit easier too.

Toy wise, there are tons of options. Pretty much any dildo or vibe that either has a flared base or is long enough so as not to get lost will work. Look for something with a curve, much like a G-spot toy, in the size you think you will be comfortable with.

I bought this as my first p-spot toy after trying my finger and enjoying it.

I also don't regret buying it buy I still have a bit of trouble getting it in. Will probably get the Naughty Boy to see if that woks out better for me.

The Naughty Boy is indeed easy to insert, but also pops out easily.

My GF used the Cheeky Boy on me. It is fairly beginner friendly if you use a good amount of lube and start with a finger before inserting it to get ready. The sequence of balls allows you to insert one and allow yourself to relax before inserting the next one. It also stayed in place fairly well as compared to the Naughty Boy, which slipped out easier.

While we used it just for a BJ and HJ, the Cheeky Boy would likely stay in place better during regular sex than the Naughty Boy.

Not to be redundant, but obviously you should start with the most natural toy there is, your own body. I think that any dildo with a relatively small circumference (try something between 4-5 inches) is the next best option. When selecting a size, go with something smaller than the circumference of your own penis. I really like the realistic dildos because they give a little while inserting. Dildos made of hard silicone (like this prostate massager) are too much for my backside. However, I think this toy is great for beginners. I personally would like it to have stronger vibrations... I want to feel the toy inside me, not just poking into my prostate. I plan on getting the we-vibe salsa to insert into this toy for stronger vibrations.

To sum everything up, I would start with YOUR fingers, you know your body better than anyone else. Play with different fingers/positions and when you feel comfortable move on to bigger and better things. I know straight men might be skittish to try a dildo, but a suction cupped dildo works wonders in the shower. You don't have to "ride" the dildo. Just having pressure on your prostate will give you a much stronger and enjoyable orgasm.